Review of Quantitative Finance and Accounting

, Volume 5, Issue 4, pp 419–426

An analysis of the weekend effect within the monthly effect

  • Kartono Liano
  • James T. Lindley
Article

DOI: 10.1007/BF01075593

Cite this article as:
Liano, K. & Lindley, J.T. Rev Quant Finan Acc (1995) 5: 419. doi:10.1007/BF01075593
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Abstract

This study analyzes the weekend effect in the first half and the second half of the month and finds a weekend effect: Friday's returns are significantly greater than Monday's returns. However, the spread between Monday's and Friday's returns shifts between the first half and the second half of the month. Consequently, a plausible explanation for the weekend effect should consider the shifting of Monday-Friday returns across the month. In addition, the 1982–1992 period does not exhibit a monthly effect or a weekend effect for the value-weighted index.

Key words

weekend effectmonthly effectreturn patterns

Copyright information

© Kluwer Academic Publishers 1995

Authors and Affiliations

  • Kartono Liano
    • 1
  • James T. Lindley
    • 2
  1. 1.Department of Finance and EconomicsMississippi State UniversityMississippi State
  2. 2.Department of Finance, Southern StationUniversity of Southern MississippiHattiesburg